CERF Discussion Paper Series

From Economics and Finance Section, School of Social Sciences, Brunel University
Brunel University, Uxbridge, Middlesex UB8 3PH, UK.
Bibliographic data for series maintained by John.Hunter ().

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97-04: Expected returns, risk and the integration of international bond markets: David Barr and Richard Priestley
97-03: Risk factors in the Malaysian stock market: Andrew Clare and Richard Priestley
97-02: Calculating the probability of failure of the Norwegian banking sector: Andrew Clare and Richard Priestley
97-01: An asset pricing approach to estimating the persistence in expected returns: Richard Priestley
96-16: An empirical study on contractual heterogeneity within the firm: the "vertical integration - incentive contracts" mix: Luisa Affuso
96-15: Cointegration representation, identification and estimation: John Hunter and C. Dislis
96-14: Excess stock returns and news: evidence from European markets: Dimitrios Malliaropulos
96-13: Shocks, risk and the predictive power of long bond yields for future inflation: Dimitrios Malliaropulos
96-12: Nonstationarity, structural breaks and the Fisher effect: Dimitrios Malliaropulos
96-11: Identifying the effects of nominal and real shocks on the S&P 500 stock price index: Dimitrios Malliaropulos
96-10: Long-run neutrality and superneutrality in an ARIMA framework: a note: Dimitrios Malliaropulos
96-09: International stock return differentials and real exchange rate changes: Dimitrios Malliaropulos
96-08: Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets: Andrew Clare, Ian Garrett and Greg Jones
96-07: Money, long-run superneutrality and real equity prices: Dimitrios Malliaropulos
96-06: Explaining the stochastic trend in velocity of money: Dimitrios Malliaropulos
96-05: Reports of beta's death are premature: evidence from the UK: Richard Priestley and Steven Thomas
96-04: An infinitely divisible distribution in financial modelling: Dimitrios Malliaropulos
96-03: Capital control liberalisation and stock market development: Ross Levine and Sara Zervos
96-02: Industry and country components in emerging market stock returns: Sara Zervos
96-01: Is equity a hedge against inflation in the long run? Evidence from the G5: Dimitrios Malliaropulos
95-13: The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news: Phil Holmes Antonios Antoniou and Richard Priestley
95-12: Futures market efficiency, the unbiasedness hypothesis and variance bounds tests: the case of the FTSE-100 Futures Contract: Antonios Antoniou and Phil Holmes
95-11: Stock markets, banks and economic growth: Ross Levine and Sara Zervos
95-10: Modelling the dividend behaviour of the aggregate US stock market: Ian Garrett and Richard Priestley
95-09: Inflation, real interest rates and the bond market: a study of UK nominal and index-linked Government bond prices: David Barr and John Campbell
95-08: Utility neutral option pricing under transaction costs: Mark Davis and Michael Monoyios
95-07: Tests of exogeneity for long run PPP and uncovered interest parity in an identified model of the UK effective exchange rate: John Hunter and Mark Simpson
95-06: Seasonality, stock returns and the macroeconomy: Richard Priestley
95-05: Do Assumptions about Factor Structure Matter in Identifying the Number of Significant Factors in Test of the APT ?: Ian Garrett and Richard Priestley
95-04: The Effect of Regulatory Announcements on the Cost of Equity Capital of British Telecom (Revised May 1996): Antonios Antoniou and Gioia Pescetto
95-03: Common Factors and the Empirical Validity of the Arbitrage Pricing Theory: Antonios Antoniou, Ian Garrett and Richard Priestley
95-02: The APT vs. the CAPM as a Description of Security Returns: The United Kindom Experience: Antonios Antoniou, Ian Garrett and R. Priestly
95-01: Did Membership of the Exchange Rate Mechanism Reduce the Equity Market Risk Premium ?: Antonios Antoniou, Ian Garrett and R. Priestly
94-07: Estimating the Cost of Capital of the UK's Newly Privatised Utilities: Andrew Clare et al
94-06: Day of the Week Effects: Evidence from the Kuala Lumpur Stock Exchange: Andrew Clare et al
94-05: On the Removal of Nonsynchronous Trading and Non Trading Effects from Security Prices and Stock Index Values: Ian Garrett
94-04: Predicting the Returns from Stock Index Futures: Andrew Clare et al
94-03: Volume-volatility Relations for Oil Crude Futures Markets: Andrew Foster
94-02: A parsimonious cointegration representation for multi-cointegration: John Hunter
94-01: Short versus Long Term Dependence in Stock Prices: Evidence from Variance Ratios and Rescaled Range Statistics: Ian Garrett and Michael Gavrides
93-07: An Analysis of the Behaviour of International Oil Spot and Futures Markets during the Gulf Conflict: Andrew Foster
93-06: A Note on: Global Macroeconomic shocks, Time-varying Covariances and Tests of the ICAPM: Andrew Clare et al
93-05: Is the Gilt-Equity Yield Ratio useful for Predicting UK Stock Returns?: Andrew Clare et al
93-04: Short-term and Long-term Efficiency in Commodity Spot and Futures Markets: Antonios Antoniou and Andrew Foster
93-03: Beta Regression Tendencies when Stock Prices Cointegrate with the Market Index: George Papachristou
93-02: Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market: Andrew Clare et al
93-01: Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence: Antonios Antoniou and Philip Holmes
92-06: Stock Index Futures and the October 1987 Stock Market Crash: Antonios Antoniou and Ian Garrett
92-05: Are Financial Markets Effectively Functioning? Some Evidence From the UK Stock and Stock Index Futures Markets: Antonios Antoniou and Ian Garrett
92-04: Price Dominance Between Spot and Futures Markets: A Reexamination using Error-Correction Models: Antonios Antoniou and Andrew Foster
92-03: Global Identification of Linear Rational Expectations Models: John Hunter
92-02: The Relationship between Futures Trading and Spot Price Volatility: Distinguishing Between the Message and the Messenger: Antonios Antoniou and Philip Holmes
92-01: Tests of Futures Market Efficiency using Cointegration: Antonios Antoniou and Andrew Foster
91-08: A Reexamination of the Case for Interest Ceilings on Consumer Credit: Andrew Hartropp
91-07: Non-synchronous Trading and the October 1987 Crash: Ian Garrett
91-06: Miller-Modigliani, Behavioural Models of Dividend Policy and the Dividend Behaviour of the Aggregate Stock Market: Some Evidence for the UK: Ian Garrett and Richard Priestley
91-05: On the Implementation and Interpretation of the Market Model: An Alternative Approach: Ian Garrett
91-04: The Capital Asset Pricing Model and Weekly Futures Returns: The Case of the FTSE-100 Stock Index Futures Contract: Antonios Antoniou and Philip Holmes
91-03: Efficient Predictions of Inefficient Markets: An Analysis of Commodity Spot and Futures Markets: Antonios Antoniou and Andrew Foster
91-02: Futures Trading and Spot Market Volatility: Evidence for Brent Crude Oil Using GARCH: Antonios Antoniou and Andrew Foster
91-01: Using the Market Model: A Note: Ian Garrett